Case Study – Automated Trading Strategy for a CTA

Background

The CTA was using several disparate systems and technologies to collect market data, develop strategies and trade. As such, there were concerns over the maintainability of the operating environment, the operating costs and the time to market of developing new strategies.

The CTA had several objectives which had to be achieved on an evolutionary basis rather than “big bang”, in order to reduce project risk. The objectives were:

Stage 2: Execute trades from existing signal generation process. Using TimeBase’s custom messaging capability, we developed a QuantOffice execution-only strategy which took as input signals generated from the client’s existing signal generation code. Co-located in Cermak, the execution strategy was run in StrategyTradingServer and trades executed on the CME via ExecutionServer.

Stage 3: Generate signals in Deltix. This final stage involved the client re-writing their signal generation logic as a QuantOffice strategy. By this stage, there was a historical data archive in TimeBase which had been collected since its deployment in Stage 1. As such, the client was able to test the signal generation against his legacy code. Once tested, the QuantOffice strategy comprising both signal and execution logic was deployed in StrategyTradingServer for live trading.

About DELTIX

Deltix provides software and services to buy-side and sell-side firms for quantitative research and algorithmic trading. We cover data collection and aggregation, advanced analytics, model development, back-testing, simulation and live trading.